Genoa Capital : Investment Program

archived programs
Year-to-Date
N / A
Dec Performance
3.63%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
39.48%
Sharpe (RFR=1%)
0.93
CAROR
36.26%
Assets
$ 0k
Worst DD
-34.59
S&P Correlation
-0.39

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2006
Investment Program 3.63 - - - - - 22.27 540.04
S&P 500 0.85 - - - - - 9.52 170.62
+/- S&P 500 2.78 - - - - - 12.75 369.42

Strategy Description

Summary

-Genoa trades currencies using two distinct investment systems. The Primary System focuses on position and swing trading. The average trade length is about ten days but can extend to a month or more. Genoa is quite content to sit out the market when conditions are not optimum, only... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2400 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

-Genoa trades currencies using two distinct investment systems. The Primary System focuses on position and swing trading. The average trade length is about ten days but can extend to a month or more. Genoa is quite content to sit out the market when conditions are not optimum, only entering trades we believe have an 80+% probability of success. Preferring positive carry positions, Genoa is happy to let the trade develop while "being paid in the trade." Genoa has developed proprietary analytical tools specifically for currency analysis and trading which have proven to be remarkably effective. The first step in the analytical process is to determine which position to open, there must be a fundamental reason. Then the quantitative process begins. First Genoa calculates the Inherent Value (IV) and then the IV Trend. Not wanting to fight the trend Genoa likes to trade in the same direction as the IVT. Our next step is to determine the IV Gravity and the Price Elasticity (LST). Once the IVG has maximized and the LST is in retraction, only then will Genoa open the position. With the compounding forces of the market trend, the IVT and IVG the related price move is powerful. It takes an extreme market anomaly to reverse direction more than temporarily. The Secondary System is a combination of fundamental positions and shorter term momentum trades. Together there is a good diversification of strategies and time frames with a blend of long, mid and short term trades as well as three distinct strategies, thereby reducing the reliance on any one.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-34.59 8 2 11/1/2010 7/1/2011
-23.53 12 3 7/1/2007 7/1/2008
-11.00 6 13 1/1/0001 6/1/2006
-3.88 1 1 2/1/2009 3/1/2009
-3.32 1 1 12/1/2008 1/1/2009
-1.75 1 1 10/1/2011 11/1/2011
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
166.20 5 8/1/2008 12/1/2008
152.75 20 4/1/2009 11/1/2010
63.41 3 8/1/2011 10/1/2011
26.35 4 4/1/2007 7/1/2007
12.14 2 4/1/2008 5/1/2008
11.18 3 7/1/2006 9/1/2006
8.14 1 12/1/2007 12/1/2007
6.22 1 2/1/2009 2/1/2009
5.68 1 10/1/2007 10/1/2007
4.76 3 4/1/2011 6/1/2011
3.63 2 4/1/2006 5/1/2006
3.63 1 12/1/2011 12/1/2011
1.87 1 12/1/2006 12/1/2006
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-30.60 4 12/1/2010 3/1/2011
-20.87 2 6/1/2008 7/1/2008
-13.31 2 8/1/2007 9/1/2007
-12.17 3 1/1/2008 3/1/2008
-10.04 1 7/1/2011 7/1/2011
-9.73 1 6/1/2006 6/1/2006
-5.70 3 1/1/2007 3/1/2007
-4.87 3 1/1/2006 3/1/2006
-3.88 1 3/1/2009 3/1/2009
-3.56 2 10/1/2006 11/1/2006
-3.32 1 1/1/2009 1/1/2009
-1.75 1 11/1/2011 11/1/2011
-0.96 1 11/1/2007 11/1/2007
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods72.0070.0067.0061.0055.0049.0037.0025.00
Percent Profitable65.2862.8668.6681.9794.5595.92100.00100.00
Average Period Return3.1510.5922.1347.5885.44139.54279.34382.78
Average Gain7.5121.2436.8860.0090.57145.54279.34382.78
Average Loss-5.04-7.44-10.19-8.85-3.46-1.46
Best Period55.00124.22162.61195.52240.72467.83531.16522.59
Worst Period-18.76-22.57-27.87-23.53-6.67-2.21128.68193.53
Standard Deviation11.4026.1839.5455.1166.00112.86111.28105.18
Gain Standard Deviation11.5027.6639.3653.2464.18111.31111.28105.18
Loss Standard Deviation4.866.198.757.782.921.06
Sharpe Ratio (1%)0.270.390.550.851.271.222.483.60
Average Gain / Average Loss1.492.863.626.7826.1999.58
Profit / Loss Ratio2.804.837.9330.81453.982340.23
Downside Deviation (10%)4.266.458.566.692.812.96
Downside Deviation (5%)4.125.977.665.241.290.72
Downside Deviation (0%)4.095.857.444.900.980.33
Sortino Ratio (10%)0.641.452.306.3727.7243.68
Sortino Ratio (5%)0.741.732.828.9065.15191.71
Sortino Ratio (0%)0.771.812.979.7087.11420.83

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.